In what way does your softball teammate "bully" you? Does he beat you up? THAT's bullying! Or does he just call you names and laugh at you and hurt your feelings? If that's all he does, then he's not "bullying" you; he's just picking on you. That's common behavior among kids and it's been going on for years, from an alpha-type kid to another kid whom he considers his subordinate.
Don't tell your coach anything about it - your coach can't fight your battles for you. This is a problem between you and your teammate. Stand up for yourself, and make it clear to him that you're not going to take it any more.

Definitely speak to your coach. They may have already noticed it, but it’s important to speak out when you think you’re being treated unfairly. Remember, being picked on says more about the bully than it does about you.